ASYMPTOTIC EFFICIENCY OF THE ORDINARY LEAST SQUARES ESTIMATOR FOR REGRESSIONS WITH UNSTABLE REGRESSORS
不稳定解释变量回归中普通最小二乘估计量的渐近有效性
For regression models with general unstable regressors having characteristic roots on the unit circle and general stationary errors independent of the regressors, sufficient conditions are investigated under which the ordinary least squares estimator (OLSE) is asymptotically efficient in that it has the same limiting distribution as the generalized least squares estimator (GLSE) under the same normalization. A key condition for the asymptotic efficiency of the OLSE is that…